The Novikov and entropy conditions of multidimensional diffusion processes with singular drift

DOI10.1007/BF01192962zbMath0794.60055MaRDI QIDQ1326262

Wolfgang Stummer

Publication date: 15 August 1994

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Wiener measureexistence of a weak solutionNovikov conditionGirsanov-Maruyama theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic potential theory (60J45) Schrödinger operator, Schrödinger equation (35J10) Martingales and classical analysis (60G46)

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On exponentials of additive functionals of Markov processes ⋮ Optimal statistical decisions about some alternative financial models ⋮ Harnack's inequality for parabolic operators with singular low order terms ⋮ On exponential moments of two Brownian functionals ⋮ On bounded entropy of solutions of multi-dimensional stochastic differential equations ⋮ Weak tail conditions for local martingales ⋮ Brownian motion with singular time-dependent drift ⋮ On weak solutions of SDEs with singular time-dependent drift and driven by stable processes ⋮ A statistical equilibrium model of competitive firms ⋮ ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS ⋮ On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift ⋮ A weak convergence criterion for constructing changes of measure ⋮ Risk-sensitivity conditions for stochastic uncertain model validation ⋮ Consistent fitting of one-factor models to interest rate data. ⋮ A class of infinite dimensional stochastic processes with unbounded diffusion ⋮ On Stochastic Differential Equations with Locally Unbounded Drift

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